Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
type: Item
instance of: scholarly article
title: Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
zbMATH Open document ID: 1131.91354
author: François Quittard-Pinon
author: Olivier Le Courtois
published in: Asia-Pacific Financial Markets
publication date: 2007-04-26T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60J99
zbMATH DE Number: 5146230
zbMATH Keywords: cumulative default probability
zbMATH Keywords: structural model
zbMATH Keywords: jump-diffusion
zbMATH Keywords: endogenous capital structure
zbMATH Keywords: Esscher transform
zbMATH Keywords: Kou processes
MaRDI profile type: Publication
full work available at URL: s10690-007-9033-1
OpenAlex ID: W3124343035
cites work: CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
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cites work: Geometric Lévy process \& MEMM pricing model and related estimation problems
cites work: Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
DOI: 10.1007/S10690-007-9033-1
description: scientific article; zbMATH DE number 5146230